臺灣博碩士論文加值系統

本文利用「平均數-變異數模型」和「平均數-條件涉險值模型」，配置四種投資組合，分別為等最小變異投資組合、相切投資組合、等權重投資組合及效率投資組合，作樣本內的差異分析，並用相切投資組合作樣本外的預測。另外本文還利用在樣本內與新興市場指數的回溯測試，探討能否藉由模型配適的相切投資組合打敗大盤，本文大盤以新興市場指數代表之。
本文分別在相關性高的新興市場、已開發國家，和相關性低的混合型市場，作四種投資組合配置，而資料使用2009年到2012年的日報酬資料，其實證結果發現:
一、在樣本內，新興市場和已開發國家下，利用MCVaR模型配適的最小變異投資組合、相切投資組合報酬率的表現較MV模型好。
二、MV模型及MCVaR模型均在混合型市場下配適的最小變異投資組合、相切投資組合、效率投資組合的風險最小。而混合型市場國家間的相關性是最低的。故資產間的相關性是影響投資組合風險大小的關鍵因素。
三、回溯測試發現，兩模型模型在新興市場及混合型市場下配適的相切投資組合皆能打敗大盤，但在已開發市場下皆無法打敗大盤。風險方面，兩模型在相關性低的混合型市場下配適的投資組合風險最小。而模型比較上，MCVaR模型在三個市場下配適的投資組合績效表現皆優於MV模型。
四、樣本外預測一個月、三個月時及十二個月時，平均而言，MCVaR模型配適的相切投資組合報酬率表現優於MV模型。風險的部分，預測一個月、三個月和十二個月，兩模型與樣本內的實證結果一樣，都在混合型市場下的投資組合風險最小。

The paper applies Mean-Variance Model and Mean-Conditional Value at Risk (MCVaR) Model to allocate four portfolios, namely, minimum variance portfolio, tangency portfolio, equally-weighted portfolio and efficient portfolio, base on which it conducts difference analysis within the samples and uses tangency portfolio to make prediction beyond the samples. In addition, the paper also explores whether the model-fitting tangency portfolio could exceed the market index by using the retrospective test of the samples and the emerging market index. In the study, the market index is represented by the emerging market index.
The paper allocates the four portfolios respectively in the high-correlated emerging markets and developed countries, and low-correlated hybrid market by using the daily remuneration data from 2009 to 2012. The empirical results show:
I. Within the samples of the emerging market and developed countries, the minimum variance portfolio and tangency portfolio fitting MCVaR model could get higher rate of return than MV model.
II. In the hybrid market, the minimum variance portfolio, tangency portfolio and efficient portfolio fitting MV model and MCVaR model have the lowest risk. However, the correlation between the countries of hybrid markets is the lowest. Therefore, the correlation between assets is the crucial factor influencing the risk of the portfolio.
III. The retrospective test finds, the tangency portfolios fitting the two models under emerging market and hybrid market could exceed the market index, but neither could exceed the market index under the developed market. In terms of the risk, the portfolios fitting two models under hybrid market with low correlation have the lowest risk. As for the model comparison, the performance of the portfolio fitting MCVaR model under three markets is better than that of MV model.
IV. When making prediction beyond the samples for one month, three months and twelve months, the tangency portfolio fitting MCVaR model can get higher rate of return than MV model. As for the risk, in the prediction for one month, three months and twelve months, the two models get the same empirical results as that within the samples, having the lowest risk in the portfolio under hybrid market.

第一章 緒論
第一節 研究動機
第二節 研究目的
第三節 研究架構
第二章 文獻回顧
第一節 資產配置與現代投資組合理論
第二節 風險值
第三節 條件風險值
第三章 資料來源與變數定義
第一節 資料來源
第二節 資料處理
第三節 敘述統計
第四章 研究方法
第一節 投資組合理論
第二節 不同風險衡量下之投資組合模型
第三節 各種投資組合的方法
第五章 實證研究
第一節 投資組合比較分析
第二節 回溯測試
第三節 樣本外預測
第六章 結論
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